Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0059
Annualized Std Dev 0.1093
Annualized Sharpe (Rf=0%) 0.0538

Row

Daily Return Statistics

Close
Observations 2895.0000
NAs 1.0000
Minimum -0.1708
Quartile 1 -0.0013
Median 0.0004
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0020
Maximum 0.0841
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0000
Stdev 0.0069
Skewness -4.9115
Kurtosis 170.8941

Downside Risk

Close
Semi Deviation 0.0054
Gain Deviation 0.0050
Loss Deviation 0.0076
Downside Deviation (MAR=210%) 0.0104
Downside Deviation (Rf=0%) 0.0054
Downside Deviation (0%) 0.0054
Maximum Drawdown 0.3415
Historical VaR (95%) -0.0070
Historical ES (95%) -0.0156
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2016-07-25 2020-03-18 NA -0.3415 1173 919 NA
2010-09-17 2013-12-26 2016-07-22 -0.1577 1472 825 647
2010-03-18 2010-05-06 2010-07-26 -0.1062 90 35 55
2009-09-28 2009-11-03 2009-12-07 -0.0502 50 27 23
2010-01-19 2010-02-05 2010-02-18 -0.0226 22 14 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA NA -0.1 -0.1 0.5 -0.1 0.2
2010 0.8 0.3 0.1 -0.1 0 0 0.2 0 0.1 -0.2 -0.2 0.2 1.2
2011 0.1 -0.1 0 0.1 -0.1 -0.1 0.9 -0.3 -0.5 -1.1 -0.2 0.2 -1.2
2012 0.2 -0.1 -0.1 0.2 -0.6 0.2 0 0 0.2 0.4 0.1 -0.3 0.1
2013 0.2 -0.1 -0.1 0 -1.1 0.2 -0.7 0.4 -0.1 -0.4 0 0.3 -1.5
2014 -0.1 0.1 0.4 0.3 0.1 0.2 -0.3 0.2 -0.3 0.3 -0.4 0.1 0.4
2015 0.2 0.2 -0.3 -0.3 -0.1 0.3 0 -0.1 -0.3 0.1 0.3 0.1 0
2016 0.1 0.5 -0.7 -0.2 0.1 -0.2 -0.1 -0.1 0.2 -0.4 -0.8 0 -1.5
2017 0.1 -0.3 0.1 0.1 0.1 0 0 0 0.2 0 0.1 -0.2 0.2
2018 -0.8 -0.3 0.3 -0.5 -0.1 0.3 -0.8 0.1 -1.5 -0.3 -0.4 0.9 -3.1
2019 -0.4 0.2 0.1 -0.3 -0.2 -0.6 -0.6 0.1 -0.4 -0.6 -0.3 0 -2.8
2020 -0.1 -1.2 -4.2 -1 -0.1 -0.5 0.2 -0.4 0.2 0.2 -0.6 0.4 -6.9
2021 -0.2 -0.2 0.5 NA NA NA NA NA NA NA NA NA 0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-09-17  40.2 SPY    107. -1.50e-3   0.0226   0.0814    0.162   -0.081   -0.188  -0.0529 GLD    99.3 -0.0057   0.0168
2 2009-09-18  40.3 SPY    107.  6.00e-4   0.0235   0.0727    0.165   -0.107   -0.188  -0.0523 GLD    98.7 -0.0067  -0.0011
3 2009-09-21  40.2 SPY    106. -2.50e-3   0.0111   0.0541    0.192   -0.142   -0.192  -0.0535 GLD    98.4 -0.0031   0.0041
4 2009-09-22  40.4 SPY    107.  5.80e-3   0.0128   0.0398    0.198   -0.117   -0.192  -0.0521 GLD    99.7  0.0133   0.0078
5 2009-09-23  40.4 SPY    106. -8.30e-3  -0.0106   0.0313    0.178   -0.104   -0.195  -0.0481 GLD    98.8 -0.0084  -0.0108
6 2009-09-24  40.5 SPY    105. -1.10e-2  -0.0201   0.0179    0.140   -0.117   -0.201  -0.0535 GLD    97.6 -0.013   -0.018 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart